“Valuation Risk and Asset Pricing” (with Martin Eichenbaum and Sergio Rebelo) April 2014. Slides for presentation at Bundesbank from May 2012 (under old title of “Understanding the Equity-premium Puzzle and the Correlation Puzzle”)
Identifies a novel component of the equity premium due to time preference shocks. The model accounts for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.
“Long-run Bulls and Bears” (with Martin Eichenbaum, Dimitris Papanikolaou and Sérgio Rebelo) December 2014.
We find that there is a high correlation between stock returns and fundamentals across bull and bear stock market episodes.
“Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence,” (with Art Durnev and Yrjo Koskinen) June 2014. First version: November 2011. Recipient of a BSI Gamma Foundation grant in 2011, the Best Paper Award at the Geneva Summit on Sustainable Finance in 2013, and the ECGI Finance Best Paper Award for 2013.
Presents a model of how CSR affects firm systematic risk and provides evidence consistent with the model.
"International Corporate Governance Spillovers: Evidence from Cross-Border Mergers and Acquisitions," (with Miguel Ferreira, Luis Marques and Pedro Matos) First version August 2013. Recipient of the CICF Best Paper Award at the 2014 China International Conference in Finance, Chengdu, China.
Documents that foreign direct investment is a vehicle for governance improvements in host countries.
“Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity,” March 2010. First version: November 2009.
Models the effect of firm announcements on conditional heteroskedasticity and trading volume.